Method and apparatus for monitoring and evaluating limit order trading

ABSTRACT

Systems, methods, apparatus, computer program code and means for generating quality data associated with an option limit order are provided. In some embodiments, an option limit order is received, the option limit order including information identifying a customer, information identifying a desired option, and information that indicates a limit price for said option limit order. A substantially real time feed of option market date is received and the option market data is used in real time to identify at least one of a trade-through and a trade-at transaction relevant to the option limit order. Alerts may be generated based on the identified trade-through or trade-at transaction. Trade-at or trade-through data may be tabulated and analyzed to evaluate option limit order trading activity. Analysis to generate trade-at or trade-through data may be performed on a batch processing basis relying entirely or in part on data received in real time or on a batch basis.

RELATED APPLICATIONS

[0001] This application is based on, and claims priority to, U.S.Provisional Application Ser. No. 60/428,462, filed Nov. 22, 2002, for“Method and Apparatus for Monitoring and Evaluating Limit OrderTrading.” This application is a continuation-in-part of co-pending andcommonly assigned U.S. patent application Ser. No. 10/246,562, filedSep. 18, 2002, for “Method and Apparatus for Monitoring and EvaluatingTrade Activity” (Attorney Docket No. G08.014). This application isrelated to co-pending and commonly-assigned U.S. patent application Ser.No. 10/246,561, filed Sep. 18, 2002 for “Method and Apparatus forProcessing and Routing Transactions” (Attorney Docket No. G08.013),which claims priority to U.S. Provisional Patent Application Ser. No.60/365,040, filed Mar. 15, 2002. The contents of the above referencedpatent applications and provisional patent applications are incorporatedby reference herein in their entirety.

FIELD

[0002] The present invention relates to the monitoring and evaluation oftransactions. More particularly, embodiments of the present inventionrelate to systems, methods, apparatus, computer program code and meansto monitor and evaluate trading of options limit orders.

BACKGROUND

[0003] In the United States, exchange-trading of options has existed ina standardized, regulated marketplace since the 1970's. An option isessentially a contract giving a buyer the right, but not the obligation,to buy or sell shares of an underlying security at a specific price fora specific time. Since the 1970's a number of exchanges have beenformed, including the Chicago Board Options Exchange (the “CBOE”), theAmerican Stock Exchange (the “AMEX”), the Pacific Stock Exchange (the“PCSE”), the International Securities Exchange (the “ISE”), and thePhiladelphia Stock Exchange (the “PHLX”). In general terms, fourspecifications describe an options contract: the type of the option(e.g., a put or a call), the premium (or the initial amount paid on thecontract), the underlying security (or the security, such as an equity,which must be delivered or purchased if the option is exercised), and acontract expiration date. As is the case for other types ofmarket-traded securities such as stocks and bonds, a customer's order tobuy or sell options may be a “market order” or a “limit order”. A marketorder does not specify the desired price, but rather obligates thebroker to obtain the best available price as determined by marketconditions. A limit order specifies the price (the “limit price”) atwhich the customer desires the transaction to be executed, and obligatesthe broker to execute the transaction at the specified price or betterif market conditions allow, and not to execute the transaction if marketconditions do not allow execution at the specified price.

[0004] An order to buy or sell options typically also specifies thenumber of contracts to be bought or sold. In the case of a limit order,a “partial fill” occurs when it is possible to execute at the limitprice some portion but less than all of the number of contractsspecified in the limit order.

[0005] Unlike other exchange-traded securities, which can generally betraded on equal terms at any exchange, many options trade differently atdifferent exchanges. The variations can include differences in price,execution time, liquidity, etc. For example, an option whose underlyingsecurity is IBM Corp. stock may be traded on several exchanges. However,at any given time, there may be slightly different order pricing andexecution characteristics associated with trades at different exchanges.Because the various options trading exchanges are not linked, situationsknown as “trade-throughs” and “trade-ats” may occur. In these situationsa limit order remains unfilled at one exchange, even though atransaction occurred at another exchange at a better or equal price.

[0006] In the future, it is possible that each of the differentexchanges will enter into linkage agreements; but until then thisfragmented market continues to make it difficult for options customersto obtain best execution of their orders and to assess the performanceof their brokers in executing their orders. It would be desirable toprovide a system to monitor and evaluate trading activity in optionlimit orders which overcomes deficiencies associated with existingtrading systems.

SUMMARY

[0007] To alleviate problems inherent in the prior art, embodiments ofthe present invention introduce systems, methods, apparatus, computerprogram code and means for generating quality data associated with anoption limit order are provided. In some embodiments, an option limitorder is received, the option limit order including informationidentifying a customer, information identifying a desired option, andinformation that indicates a limit price for the option limit order. Asubstantially real time feed of option market data is received and theoption market data is used in real time to identify at least one of atrade-through and a trade-at transaction relevant to the option limitorder.

[0008] In some embodiments, an alert is generated on the basis of theidentified trade-through or trade-at transaction.

[0009] In some embodiments, the identified trade-through or trade-attransaction is used to tabulate trade-through or trade-at data for aplurality of option limit orders placed by the customer. Fulfillmentdata for the plurality of option limit orders is also tabulated, and thetabulated fulfillment data is compared to the tabulated trade-through ortrade-at data.

[0010] In some embodiments, a determination is made as to a set ofoption limit orders that are in effect during a trading day, each of theoption limit orders including information identifying a respectivedesired option and information that indicates a respective limit pricefor the option limit order. Options trading information is received thatis indicative of options trading activity on a plurality of exchangesduring the trading day. After closing of the trading day, at least oneof trade-through data and trade-at data is generated for the determinedset of option limit orders based on the received options tradinginformation.

[0011] With these and other advantages and features of the inventionthat will become hereinafter apparent, the invention may be more clearlyunderstood by reference to the following detailed description of theinvention, the appended claims, and the drawings attached herein.

BRIEF DESCRIPTION OF THE DRAWINGS

[0012]FIG. 1 is a block diagram of a system consistent with the presentinvention;

[0013]FIG. 2 is a flow diagram illustrating an exemplary process formonitoring and evaluating limit order trading activity pursuant to oneembodiment of the present invention;

[0014]FIG. 3 is a flow diagram illustrating an exemplary process fortabulating and comparing limit order fulfillment data with trade-throughand/or trade-at data.

[0015]FIG. 4 is a block diagram of one embodiment of a limit orderprotection system for use in conjunction with the system of FIG. 1;

[0016]FIG. 5 is a table illustrating an exemplary data structure of alimit order database for use in the present invention;

[0017]FIGS. 5A and 5B are illustrative user interfaces which may bedisplayed on an operator device of the system of FIG. 1;

[0018]FIG. 6 is a table illustrating an exemplary data structure of analert database for use in the present invention;

[0019]FIGS. 7, 7A and 8 are illustrative user interfaces which may bedisplayed on an operator device of the system of FIG. 1; and

[0020]FIG. 9 is a flow diagram illustrating an exemplary process forevaluating performance relative to limit orders.

DETAILED DESCRIPTION

[0021] Applicants have recognized that there is a need for a system,method, apparatus, computer program code, and means to monitor andevaluate options limit order trading activity.

[0022] For the purposes of describing features of embodiments of thepresent invention, a number of terms are used herein. For example, theterm “option” is used herein to refer to a contract which gives a buyerthe right, but not the obligation, to buy or sell shares of theunderlying security or index at a specific price for a specified time.In the description presented herein, the underlying securities describedare equity securities or “stocks”. Stock option contracts generally arefor 100 shares of the underlying stock.

[0023] As used herein, the term “option order” refers to ordersinvolving offers to purchase or sell securities commonly known as“options”. As used herein, each option order includes a number of termsdefining the offer to purchase or sell. For example, an option order mayinclude a customer identifier (identifying the party offering topurchase or sell), a symbol (identifying the underlying securityassociated with the option order, referred to as the “underlyer”), anamount or size of the order (identifying the number, typically in lotsof 100, of options desired to be purchased or sold). Each option ordermay also include information identifying a type of the order. Forexample, the option order may be immediately executable (e.g., be amarket or marketable limit order), or it may have special conditions orinstructions associated with the order. Finally, each order may alsoinclude information identifying an expiration date of the optioncontract.

[0024] As used herein, the term “option limit order” refers to an optionorder that specifies a limit price.

[0025] As used herein, the terms “exchange” or “options exchange” referto any securities exchange which lists and facilitates the trading ofoptions. For example, currently in the U.S., listed options are tradedon the following national securities exchanges: the CBOE (exchangesymbol “W”), the AMEX (exchange symbol “A”), the PCSE (exchange symbol“P”), the ISE (exchange symbol “I”) and the PHLX (exchange symbol “X”).Embodiments of the present invention may be used to route and facilitatetrading of options on other exchanges as well (including non-U.S.exchanges), and the terms “exchange” or “options exchange” are notintended to be limited to the above-identified exchanges.

[0026] As used herein, the term “specialist” includes registeredcompetitive market makers, specialists, primary market makers and otherregistered securities dealers which maintain firm bids and offers bystanding ready to buy or sell contracts of securities and which announcetheir pricing throughout the day.

[0027] As used herein, the term “trade-through transaction relevant toan option limit order” refers to a transaction which (a) occurs whilethe option limit order remains at least partially unfilled; (b) occursat an exchange other than the exchange to which the option limit orderwas forwarded for execution; (c) involves the option specified in theoption limit order; and (d) occurs at a better price than the pricespecified in the option limit order.

[0028] As used herein, the term “trade-at transaction relevant to anoption limit order” refers to a transaction which (a) occurs while theoption limit order remains at least partially unfilled; (b) occurs at anexchange other than the exchange to which the option limit order wasforwarded for execution; (c) involves the option specified in the optionlimit order; and (d) occurs at the price specified in the option limitorder.

[0029] As used herein, the term “trade-through data for an option limitorder” refers to data which indicates a number of contracts included inat least one trade-through transaction relevant to the option limitorder.

[0030] As used herein, the term “trade-at data for an option limitorder” refers to data which indicates a number of contracts included inat least one trade-at transaction relevant to the option limit order.

[0031] As used herein, the term “fulfillment data” refers to data whichindicates a number of contracts filled for an option limit order.

[0032] As used herein, the term “generating an alert” refers todisplaying to a user information that indicates occurrence of atrade-through transaction or a trade-at transaction, associatinginformation regarding the trade-through or trade-at transaction with anoption limit order and/or providing an indication that action is or maybe required.

[0033] In general, and for the purposes of introducing concepts ofembodiments of the present invention, option limit order tradingactivity is monitored and evaluated pursuant to embodiments of thepresent invention as follows. A customer submits an option limit orderto a broker, requesting execution of the option limit order. A tradingsystem, upon receipt of the order, timestamps the order and captures theterms of the order (e.g., including information identifying thecustomer, the requested product, price, quantity, and limit price). Alimit order protection system associated with the trading systemreceives a real time feed of market data. So long as the option limitorder remains at least partially unfilled, the limit order protectionsystem monitors the market data to detect occurrence of trade-throughand/or trade-at transactions relevant to the option limit order. In someembodiments, when a trade-through transaction or a trade-at transactionis detected, the limit order protection system generates an alert, whichmay be displayed to an operator of the limit order protection system, ofthe trading system, and/or to the customer.

[0034] In some embodiments, the monitoring and evaluation of optionlimit order trading activity is further enhanced through the use of arouting system such as the system described in the above referenced U.S.patent application Ser. No. 10/246,561.

[0035] In some embodiments, a number of execution quality and analysisreports may be generated based on the detection of trade-through and/ortrade-at transaction and/or based on alerts that were generated asdescribed above. This may allow the broker and the broker's customers tomonitor and summarize option limit order trading activity and quality.The reports generated may include tabulations of trade-through and/ortrade-at data for groups of option limit orders placed by a singlecustomer. The reports generated may also include fulfillment data forthe groups of option limit orders. In some embodiments, the fulfillmentdata may be compared to the trade-through and/or trade-at data. Thetabulation of trade-through, trade-at and/or fulfillment data may bebased on batch processing of information instead of or in addition toprocessing of data in real time. The data analyzed to produce thetabulation may be received partly or entirely on a batch basis.

[0036] Other features and advantages will be apparent to those skilledin the art.

[0037] Embodiments of the present invention will now be described byfirst referring to FIG. 1 where a block diagram of one embodiment of atrading network 100 is shown. As shown, trading network 100 includes anumber of different components which cooperatively operate to process,route and execute option orders pursuant to some embodiments of thepresent invention. The components further cooperatively operate to allowthe monitoring and analysis of the trading of option limit orders.

[0038] As depicted, trading network 100 includes a limit orderprotection system 500 in communication with a trading system 200, asource of market data 112, and one or more operator devices 106. Tradingsystem 200 is in communication with one or more customer(s) 102, one ormore exchange(s) 104 and source of market data 112. Trading system 200,in some embodiments, includes an execution core 202 and a router 400.Execution core 202 may be any trade execution software, systems and/ordevices which are configured to receive customer orders and process themto execute orders on behalf of customers. For example, execution core202 may be the REDI® product offered by Spear, Leeds & Kellogg (adivision of Goldman Sachs & Co.) and which provides integration ofoption quotes with rapid order entry and position management. Othersuitable execution cores may also be used. In some embodiments,execution core 202 functions to timestamp orders when received and toassign an order identifier or sequence number to each order.

[0039] In some embodiments, a router 400 is provided as part of tradingsystem 200. Router 400 is configured to receive option orders fromtrading system 200 and route them to an appropriate options exchange forexecution. For example, router 400 may be configured to apply one ormore routing rules to each option order to route each order in andesired manner.

[0040] Although a single limit order protection system 500 and a singletrading system 200 are shown in FIG. 1, any number of these devices maybe included in trading network 100. For example, in one embodiment, anumber of different trading systems 200 are in communication with limitorder protection system 500 to allow multiple trading systems to monitorand analyze limit order trading pursuant to embodiments of the presentinvention. Similarly, any number of market data sources 112, customerdevices 102, exchange devices 104 or any other device described hereinmay be included in the trading network 100 according to embodiments ofthe present invention. In some embodiments, limit order protectionsystem 500 is utilized in conjunction with trading systems 200 which donot utilize a router 400.

[0041] Each of the devices of network 100 may be formed of components orother devices capable of performing the various functions describedherein. For example, a customer device 102 may be a computing devicesuch as a Personal Computer (PC), a laptop, a telephone, or other deviceassociated with a customer. As used herein, the term “customer” mayrefer to, for example, an individual or other entity that buys and sellssecurities (and, pursuant to some embodiments of the present invention,options). For example, a customer operating a customer device may be abroker or other entity desiring to purchase or sell options usingfeatures of embodiments of the present invention. The broker or otherentity may be operating on behalf of the ultimate purchaser of thesecurities.

[0042] An exchange device 104 may be any computing device(s) operated byor on behalf of one or more securities exchanges. In one particularembodiment, exchange devices 104 are devices or systems operated by oron behalf of exchanges which facilitate the trade of options. For thepurposes of describing features of embodiments of the present invention,the five U.S. exchanges identified above will be referenced herein. Eachof these exchanges may be in communication with other devices describedherein using techniques known in the art. For example, the five U.S.exchanges are in communication with a central entity (the OptionsClearing Corporation, or “OCC”) which acts as a central clearingorganization to process option contract trades. In general, the OCCreceives information from the exchanges after the completion of trades,and operates to ensure trades are completed and settled pursuant totheir terms.

[0043] Each exchange device 104 may include one or more operatorterminals allowing specialists or traders at the exchange to respond tooption orders received and to complete an option order pursuant to itsterms.

[0044] Market data 112 may be any of a number of different types ofoptions market data received from a variety of data sources and whichcan be used to facilitate option transactions. For example, in the U.S.,intra-day option pricing data is provided by the Option Price ReportingAuthority (OPRA). In some embodiments, market data 112 includes a feedof OPRA data. In some embodiments, this OPRA data feed is received bylimit order protection system 500 and/or trading system(s) 200substantially in real-time. This OPRA data feed provides option pricingfrom each of the options exchanges in the U.S. Those skilled in the artwill recognize that other types of market data sources may also be usedto assist in the processing and routing of transactions as describedherein. For example, daily or monthly transaction volume information maybe retrieved from the OCC or other sources and used to support routingdecisions. As another example, daily pricing data may be retrieved fromdifferent specialists or traders. Market data 112 may be received bylimit order protection system 500 and/or trading system(s) 200 on aregular basis or substantially in real-time.

[0045] Limit order protection system 500 may be any computing devicewhich is capable of performing the various functions described herein.For example, in some embodiments, limit order protection system 500 maybe configured as a Web server adapted to exchange information withoperators 106, trading system(s) 200, and sources of market data 112. Insome embodiments, limit order protection system 500 is a back officesystem operated by (or on behalf of) the same entity which operatestrading system(s) 200, allowing the entity to amass, monitor, andevaluate options order execution data for trade requests received fromits customers. In some embodiments, limit order protection system 500 isoperated by (or on behalf of) one entity while trading system(s) 200 areoperated by (or on behalf of) other entities. For example, a serviceprovider may operate limit order protection system 500 as a fee-basedservice, allowing a number of different brokers to interact with thesystem and to utilize features of the limit order protection system.

[0046] As used herein, devices (e.g., limit order protection system 500,operator devices 106, exchanges 104, customer devices 102 and marketdata sources 112) may communicate, for example, via one or morecommunication networks. For example, some or all of the devices may bein communication via an Internet Protocol (IP) network such as theInternet. Some or all of the devices may be in communication via othertypes of networks such as an intranet, a Local Area Network (LAN), aMetropolitan Area Network (MAN), a Wide Area Network (WAN), aproprietary network, a Public Switched Telephone Network (PSTN), and/ora wireless network.

[0047] According to some embodiments of the present invention,communication between some or all of the devices of network 100 may bevia a temporary computer communication channel (e.g., a logic paththrough which information can be exchanged). In other words, thecommunication channel between various devices may be established anddiscontinued as appropriate. For example, trading system 200 mayexchange information with limit order protection system 500 only whencommunication is necessary to transmit order or execution data to limitorder protection system 500.

[0048] According to some embodiments, some or all of the devicescommunicate with other devices via a public computer communicationnetwork. That is, at least a portion of the communication network may beaccessed by devices other than the devices depicted in FIG. 1. Note,however, that the information exchanged between limit order protectionsystem 500 and other devices of FIG. 1 may be encrypted or otherwiseprotected to prevent a third party from accessing, manipulating,understanding and/or misusing the information. In some embodiments, someor all of the devices may communicate over a private network.

[0049] Further details of some embodiments of limit order protectionsystem 500 will be discussed further below in conjunction with FIGS.4-6. First, however, reference is made to FIGS. 2 and 3 whereinprocesses for monitoring and evaluating option limit order tradingactivity are depicted. The flow charts in FIGS. 2 and 3 do not imply afixed order to the steps, and embodiments of the present invention canbe practiced in any order that is practicable. Some or all of the stepsof the processes shown in FIGS. 2 and 3 may be performed, for example,by, or on behalf of, a trading entity or service provider operatinglimit order protection system 500 in conjunction with other devices(e.g., such as trading system 200).

[0050] A process 204 depicted in FIG. 2 begins at 206 where an optionlimit order to be monitored is identified. For example, an option limitorder may be identified by being received from a customer. In someembodiments, this option limit order is received from trading system 200after it has been submitted to trading system 200 by a customer. Theoption limit order may include details specifying the terms on which thecustomer wishes the order to be completed. For example, a typical optionlimit order will include information specifying the customer submittingthe order, the product to be traded (e.g., a put or a call of aparticular security underlyer having a particular expiration and strikeprice), the quantity of contracts to be traded, a limit price, and anyrestrictions on the order (e.g., good for the day, etc.). In someembodiments, the information specifying the customer will include acustomer name, account number, and branch identifier (if any). In someembodiments, an order identifier or sequence number is assigned to theoption limit order to uniquely identify the order. In some embodiments,the option limit order is time stamped when it is received by tradingsystem 200.

[0051] If the option limit order is newly received by the trading system200, the router 400 may select an exchange 104 on which the option limitorder is to be executed and the option limit order may be forwarded tothe selected exchange in accordance with practices described in theabove referenced U.S. patent application Ser. No. 10/246,561.

[0052] At 208, a feed of real time or substantially real time optionmarket data is received. This option market data may be retrieved, forexample, from a market data source 112 such as an OPRA data feed. Theoption market data may include all trading transactions which occur onall options exchanges. The option market data may also include BBO (bestbid and offer) data for all options exchanges and/or NBBO (national bestbid and offer) data. If necessary, the limit order protection system 500may be configured to synthesize NBBO data from exchange BBO datareceived in the market data feed.

[0053] Processing at 208 may include classifying the option limit orderby comparing the limit price to NBBO and/or BBO information effective atthe time the order was received. For example, in one embodiment,processing at 208 may include classifying limit orders into one of fourcategories. “Type 1” orders are orders that better the NBBO. “Type 2”orders are orders that are equal to the NBBO and better the BBO at theexchange to which they are directed. “Type 3” orders are orders that arewithin an enhanced NBBO (between the worst bid/offer). “Type 4” ordersare all other orders. These classifications may be used to determine aservice standard that is applicable to the option limit order or forother purposes. For example, these classifications may be used toclassify various types of failures to satisfy a customer servicestandard. An option limit order may be reclassified if the limit priceis changed after the order is placed.

[0054] Processing continues at 210 where the option market data receivedfrom the market data source is monitored to detect and identify trade-atand/or trade-through transactions that are relevant to the option limitorder. It is assumed for the purposes of this example that at least onetrade-at or trade-through transaction is identified, but it should berecognized that such will not always be the case. The market data fromwhich the trade-at or trade-through transaction was identified mayinclude data relating to market conditions or exchange-specificinformation such as whether the markets at the time of execution werefast, whether the transaction was a book order, auto eligible, late, orthe like. Market size at the time may also be provided. Monitoring withrespect to the option limit order may continue throughout the life ofthe order, i.e., until it is fully executed, deleted or cancelled.

[0055] Processing may continue at 212, where, in response toidentification of the trade-at or trade-through transaction, an alert isgenerated. The generation of the alert may include logging informationregarding the trade-at or trade-through transaction in association withthe option limit order. Logging the alert may include adding or changingentries in the limit order database 600 and/or the alert database 700which are described below. In addition or alternatively, generation ofthe alert may include providing an indication of the alert on a displayprovided to a user, or otherwise indicating that an action should betaken.

[0056] Processing may continue at 214 where the alert may be classified.For example, the alert may be classified as either “active” or“inactive”. An alert may be classified as inactive because it wasgenerated within a waiting period (e.g. 90 seconds) after the optionlimit order was received from the customer. An alert may also beclassified as inactive because the option limit order was completelyexecuted or cancelled within a predetermined period (e.g. 90 seconds)after the alert was generated. An alert may also be classified asinactive because it was generated in response to a trade-at ortrade-through transaction which occurred at a “non-leading” exchange. A“leading” exchange may be an exchange that had 50% or more of theaggregate contract volume in all options for the underlyer of the optionlimit order in question during a predetermined preceding period such asthe preceding calendar month. If no exchange had at least 50% of suchvolume, then the two exchanges having the highest volume during thepreceding period may be considered “leading” exchanges. A “non-leading”exchange is an exchange that is not a leading exchange.

[0057] The process of FIG. 2 may be modified so as to filter out (i.e.,disregard, not generate an alert in response to) certain trades, such asspreads, straddles, buy-writes, and market-maker trades.

[0058] In addition to or instead of detecting and identifyingtrade-through and/or trade-at transactions in real time, as describedabove, some embodiments may include capabilities for storing andanalyzing information regarding trade-at and trade-through transactionsand for characterizing option limit order trading performance.

[0059] A process 300 for analyzing and evaluating option limit ordertrading is depicted in FIG. 3. Process 300 begins at 302, where dataregarding trade-at and/or trade-through transactions is tabulated. Thetabulation may be directed to all limit orders placed by a givencustomer during a given period, such as a day, a week, or a month. Insome embodiments, trade-at transaction data and trade-throughtransaction data is tabulated separately. The tabulation may be based onalert data stored during the process 204 of FIG. 2.

[0060] Processing continues at 304, where fulfillment data is tabulatedin regard to option limit orders placed by the customer during theperiod in question. In some embodiments, fulfillment data is onlytabulated for option limit orders for which alerts were generated. Insome embodiments, fulfillment data is tabulated only for option limitorders for which alerts were classified as active.

[0061] Processing continues at 306, where the tabulated fulfillment datais compared to either or both of the trade-through and trade-at datatabulated at 302. For example, a total of contracts filled for a groupof option limit orders may be divided by the number of contracts forwhich trade-at or trade-through transactions were identified to generatea performance measurement.

[0062] A specific example of a process for calculating a performancemeasure will now be described. The process will be described withrespect to trade-through transactions, but it should be understood thatan essentially similar process may be performed with respect to trade-attransactions.

[0063] Initially a performance measure is calculated for each optionlimit order for which a trade-through was identified. (Trade-throughsassociated with inactive alerts may be excluded.) For the option limitorder, a number of contracts hypothetically filled by the trade-throughor trade-throughs is determined, but capped at the number of unfilledcontracts at the time of the trade-through to prevent over counting.Once applied to the order, the print may be applied to then outstandingorders traded through by the print, in price/time priority, until theprint contracts are exhausted. The number of contracts actually filledfor the option limit order that day is also determined. Then the lesserof the hypothetically filled contracts and the actually filled contractsis divided by the number of hypothetically filled contracts to provide aperformance measurement for the traded-through option limit order.

[0064] To calculate a performance measurement for all traded-throughoption limit orders in a group of limit orders (e.g. all option limitorders for a given customer for a given period of time), a sum isobtained of the lesser of the hypothetically filled contracts and theactually filled contracts for each of the traded-through option limitorders, and a second sum is obtained of all of the hypothetically filledcontracts for the traded-through option limit orders. Then the first sumis divided by the second sum to arrive at a performance measurement forthe group of option limit orders.

[0065] Those of ordinary skill in the art will understand from theforegoing discussion that other performance measurement calculations maybe performed based on the trade-at and trade-through data collected inone or both of the processes of FIGS. 2 and 3.

[0066] Reference is now made to FIG. 4 where an embodiment of limitorder protection system 500 is shown. As depicted, limit orderprotection system 500 includes a computer processor 510 operativelycoupled to a communication device 520, a storage device 530, an inputdevice 540 and an output device 550. Communication device 520 may beused to facilitate communication with, for example, other devices (suchas user devices 102, exchanges 104, trading system 200 and sources ofmarket data 112). Input device 540 may comprise, for example, akeyboard, a keypad, a mouse or other pointing device, a microphone, knobor a switch, an infra-red (IR) port, a docking station, and/or a touchscreen. Input device 540 may be used, for example, to enter information(e.g., information regarding routing rules or the like). Output device550 may comprise, for example, a display (e.g., a display screen), aspeaker, and/or a printer.

[0067] Storage device 530 may comprise any appropriate informationstorage device, including combinations of magnetic storage devices(e.g., magnetic tape and hard disk drives), optical storage devices,and/or semiconductor memory devices such as Random Access Memory (RAM)devices and Read Only Memory (ROM) devices.

[0068] Storage device 530 stores one or more programs 515 forcontrolling processor 510. Processor 510 performs instructions ofprogram 515, and thereby operates in accordance with the presentinvention. In some embodiments, program 515 may, in addition toimplementing limit order monitoring and analysis, include a rule-basedengine which applies routing rules to customer orders. In someembodiments, program 515 may be configured as a neural-network or othertype of program using techniques known to those skilled in the art toachieve the functionality described herein. In some embodiments, program515 may provide the functionality of each of the major components oftrading system 200, including execution core 202 and router 400.

[0069] Storage device 530 also stores databases, including, for example,a limit order database 600 and an alert database 700. Other databasesmay also be provided (e.g., if the same device provides thefunctionality of the router and the execution core, order and executiondata may also be stored in storage device 530 as well). An example of alimit order database 600 is described below in conjunction with FIG. 5,and an example of an alert database 700 is described below inconjunction with FIG. 6. Those skilled in the art, upon reading thisdisclosure, will understand that a number of different forms of trade-atand trade-through data and various reports regarding monitoring andanalysis of limit order trading activity may be utilized.

[0070] Referring now to FIG. 5, a table represents a limit orderdatabase 600 that may be stored at (or accessible by) limit orderprotection system 500. This database is described in detail below anddepicted with exemplary entries in the accompanying figure. As will beunderstood by those skilled in the art, the schematic illustrations andaccompanying descriptions of the databases presented herein areexemplary arrangements for stored representations of information. Anumber of other arrangements may be employed besides those suggested bythe table shown. Similarly, the illustrated entries of the databaserepresent exemplary information only. Those skilled in the art willunderstand that the number and content of the entries can be differentfrom those illustrated herein. Other example data and combinations ofdata are depicted in the user interfaces described below in conjunctionwith FIGS. 5A, 5B, 7, 7A and 8.

[0071] Limit order database 600 (as depicted) includes entriesidentifying a number of pieces of information regarding option limitorders which were received by trading system 200. This quality data maybe generated on a substantially real-time basis throughout the tradingday to allow brokers and/or their customers to monitor option limitorder trading and to allow brokers to take corrective action on behalfof their customers. In some embodiments, the type of data stored in thelimit order database may be varied based on customer-specified rules. Insome embodiments, the type of data stored in the limit order database isgenerally fixed by the entity operating the limit order protectionsystem 500.

[0072] As depicted, the table defines a number of fields 602-612 foreach of the entries. The fields specify: an order identifier 602, a timeorder received 604, order terms 606, customer information 608, alerts610, and quantity filled 612. The data populating database 600 is storedand captured at several different times. For example, the orderidentifier 602, time order received 604, order terms 606, and customerinformation 606, are captured and stored at or near the time the orderis received. The data for the alerts 610 may be captured and stored, forexample, at the time an alert is generated. The quantity filled data maybe captured and stored at a time or times when the option limit order ispartially or completely filled.

[0073] Order identifier 602 (otherwise referred to as a sequence number)may be alphanumeric data uniquely identifying a particular orderreceived by trading system 200. This identifier may be, for example,generated by execution core 202 when the order is received. Time orderreceived 604 may be alphanumeric data identifying the time and date atwhich the order identified by order identifier 602 is received. Timeorder received 604 may be generated by the execution core 202 when theorder is received. Order terms 606 include data specifically identifyingthe terms of a particular customer order, including the type of order,the size, the underlyer, the expiration date, a price, and an exchange(if the customer specifies a particular exchange).

[0074] Customer information 608 includes data identifying a particularcustomer for which option limit order trading activity is monitored andanalyzed using embodiments of the present invention. The data may bealphanumeric data used to uniquely identify a particular customer.

[0075] Alert data 610 includes one or more alert identifiers thatidentify an alert or alerts that have been generated with respect to theoption limit order in question as a result of a trade-at ortrade-through transaction relevant to the option limit order. The alertdata may include alphanumeric data that uniquely identifies an alertgenerated with respect to the option limit order. As will be seen, eachalert identifier provides a link to the alert database 700, from whichinformation may be obtained regarding the trade-at or trade-throughtransaction which caused the alert to be generated.

[0076] Although alert identifiers are shown as present for each of thethree example limit order option records depicted in FIG. 5, it willoften be the case that no alert has been generated with respect to aparticular option limit order, in which case no alert identifier wouldbe entered in the record for that option limit order. It may also be thecase that the depicted limit order database may be used only for limitorders for which alerts have been generated.

[0077] Quantity filled information 612 includes information thatindicates to what extent, if at all, the option limit order has beenfilled. The indication “none” may initially be entered in this fieldupon receipt of the option limit order and the field may be updated uponpartial or complete filling of the option limit order.

[0078] In some embodiments, the limit order database 600 may beintegrated with a database that also includes information concerningother types of orders in addition to limit orders.

[0079] Example user interface screens will now be described by referenceto FIGS. 5A and 5B. The user interface screens of FIGS. 5A and 5B may bedisplayed, for example, on display devices associated with operatordevices 106, allowing system operators to interact with, review, andmonitor option limit order trading data captured using embodiments ofthe present invention. Operators may take remedial action based on thedata and may also enter further data clarifying or commenting ontransactions.

[0080] Referring to FIGS. 5A and 5B, each of these drawings shows anexample of a user interface 620 which depicts a display of recordsrelated to open option limit orders which are being monitored by anoperator. The user interface 620 includes an information section 622which displays information relating to specific transactions for whichtrade-at or trade-through alerts have been generated. The user interface620 further includes an action section 624 by which the operator mayinitiate an action and/or enter a comment or other input regarding aselected one or ones of the transaction entries in the informationsection 622. The action section 624 shown in FIG. 5B depicts examples ofindications which may be entered by an operator. The informationdisplayed in the information section 622 may be provided, at least inpart, from the limit order database 600 described above and from thealert database 700 referred to above and described below.

[0081] Referring now to FIG. 6, a table represents an alert database 700that may be stored at (or accessible by) limit order protection system500. This database is described in detail below and depicted withexemplary entries in the accompanying figure.

[0082] The alert database 700 (as depicted) includes entries whichprovide information concerning alerts of the type generated at 212 inthe process of FIG. 2. The alert database also includes informationregarding trade-at or trade-through transactions that caused the alertsto be generated. This information may be captured and stored duringmonitoring of the real time market data feed by the limit orderprotection system 500.

[0083] As depicted, the table defines a number of fields 702-714 foreach of the entries. The fields specify: an alert identifier 702, analert status 704, an indication 706 as to whether the alert wasgenerated as the result of a trade-through or a trade-at transaction, aprice 708 at which the transaction occurred (in the case of atrade-through transaction; in the case of a trade-at transaction theprice, by definition, was the limit price of the option limit order), atime 710 at which the trade-through or trade-at transaction occurred, anexchange 712 at which the trade-at or trade-through transaction wasexecuted, and flags 714.

[0084] As noted above in connection with the limit order database, thealert identifier 702 may be alphanumeric data that uniquely identifies aparticular alert. The alert status 704 indicates whether the alert iscurrently classified as active or inactive. The indication 706 is either“TT” which indicates that the alert was generated in response to atrade-through transaction or “TA” which indicates that the alert wasgenerated in response to a trade-at transaction.

[0085] The price 708 indicates the price at which a trade-throughtransaction occurred. The time 710 indicates the date and time ofoccurrence of the trade-at or trade-through transaction. The exchange712 indicates the exchange at which the trade-at or trade-throughoccurred (which will never be the exchange to which the option limitorder was forwarded for execution). Flags 614 includes data identifyingany anomalous market conditions or other information regarding theexecution of the trade-at or trade-through transaction. For example,flags 614 may include data specifying that the market conditions atexecution included: a fast market; a late print; a stale quote;cross/locked; floor broker discretion; BD trades; bettered NBBO; tradein processing, etc. Other data, such as quantity of contracts in theassociated trade-at or trade-through, may also be captured and analyzedas well.

[0086] Example user interface screens will now be described by referenceto FIGS. 7, 7A and 8. The user interface screens of FIGS. 7, 7A and 8may be displayed, for example, on display devices associated withoperator devices 106, allowing system operators to interact with,review, and monitor option limit order trading data captured usingembodiments of the present invention. Operators may take remedial actionbased on the data and may also enter further data clarifying orcommenting on transactions.

[0087] Referring first to FIG. 7, a user interface 800 is shown whichdepicts a display of records related to open option limit orders whichare being monitored by an operator. The open option limit orders areassociated with a particular customer (customer identifier C1001). Eachof the records shown in the user interface 800 is associated with aparticular open option limit order, for which the order number isdisplayed in column 802. The order terms are displayed in column 804.Column 806 contains data relating to “leaves”, i.e., the portion of theorder which remains open. As seen from the drawing, each record containsan indication in column 808 as to whether there has been a trade-at ortrade-through transaction relevant to the open limit order. A commentfield is provided in column 810 to permit entry of a comment to indicatewhy remedial action may or may not be appropriate. For example, in someembodiments no remedial action is required when the trade-at ortrade-through occurred at a non-leading exchange.

[0088] Referring to FIG. 7A, a further user interface 900 is depictedwhich may be presented to an operator to view additional informationabout an open limit order listed in the user interface of FIG. 7. Theuser interface of FIG. 7A may be integrated with the interface of FIG. 7or may be provided separately as depicted in FIG. 7A. The informationprovided in user interface 900 is arranged in columns that include: (a)Column 902 to indicate the exchange at which a trade-at or trade-throughoccurred; (b) column 904 to indicate the number of trade-attransactions; (c) column 906 to indicate the number of contractsinvolved in the trade-at transactions; (d) column 908 to indicate thenumber of trade-through transactions; (e) column 910 to indicate thenumber of contracts involved in the trade-through transactions; and (f)column 912 to indicate the time at which the first alert was generatedwith respect to the trade-at or trade-through.

[0089] Referring to FIG. 8, a further user interface 1000 is depictedwhich may be presented to an operator to view data generated byanalyzing option limit order trading activity in accordance withembodiments of the invention. The analysis may initially have beenperformed in real time, or may have been based on a batch process.

[0090] The user interface 1000 includes a column 1002 which listscalendar months for which limit order protection performance issummarized. Column 1004 contains information regarding numbers of ordersfor which trade-throughs or trade-ats occurred. Column 1006 containsinformation regarding the total number of contracts covered by theorders enumerated in column 1004. Column 1008 presents percent filledstatistics for the months in question for the traded-through ortraded-at orders, and column 1010 presents applicable limit orderprotection standards.

[0091]FIG. 9 depicts a process for evaluating limit order protectionperformance on the basis of batch processing. The flow chart in FIG. 9does not imply a fixed order to the steps, and embodiments of thepresent invention can be practiced in any order that is practicable.Some or all of the steps of the process shown in FIG. 9 may beperformed, for example, by, or on behalf of, a trading entity or serviceprovider operating limit order protection system 500 in conjunction withother devices (e.g., such as trading system 200).

[0092] A process 1100 depicted in FIG. 9 begins at 206 which indicatesreceiving options trading information that is indicative of tradingactivity on a number of exchanges, such as all exchanges available foroptions trading. This options trading information may take the form of areal-time feed of intra-day option pricing data provided by OPRA. Thedata received in real time may be stored for subsequent analysis and useat the close of the trading day. Alternatively, information whichdescribes all of the day's trading activity may be received in batchform at close of trading.

[0093] At 1104, it is determined what option limit orders are in effect(open) during the trading day. This determination may include carryingover from a previous trading day option limit orders that remain open.Records may be maintained as to the periods of time that the optionlimit orders are open. Records may also indicate whether and to whatextent the option limit orders are filled.

[0094] Processing may continue at 1106, at which data is generated as totrade-ats and trade-throughs with respect to option limit orders in theset of open option limit orders determined at 1104. This may be done byanalysis of the information regarding option trading activity obtainedat 1102 and of the open option limit order information obtained at 1104.Before a determination is made as to open option limit orders that couldhypothetically have been filled by trade-at or trade-throughtransactions, cancelled transactions may be purged from the tradingactivity information to prevent false hypothetical fills.

[0095] The processing at 1106 may include totaling all hypotheticalfills separately by trade-at and trade-through, and for variouscategories such as by underlyer, by customer, for the day, or for acombination of such categories.

[0096] Further processing is indicated at 1108. This further processingmay include determining as to each option limit order for which atrade-at or trade-through occurred whether the option limit order wassubsequently filled or partially filled. The information regardingfilling of traded-at or traded-through orders may be totaled and theresulting figures may be compared to the trade-at/trade-through data.For example, the total filled (by number of contracts, and capped to theextent of trade-ats or trade-throughs) may be divided by the total oftrade-ats or trade-throughs (by number of contracts) to obtain aperformance or satisfaction measurement that may indicate an extent towhich a limit order protection guarantee has been satisfied. Thecalculation of the performance measurement may be as described above inconnection with item 206 of FIG. 3.

[0097] Results of daily trade-at/trade-through analysis may beaggregated by week, month, quarter and/or year, and/or may be brokendown by customer, exchange, time of day, etc.

[0098] Those skilled in the art will appreciate that other displays andactions may be presented and used to implement features of embodimentsof the present invention. For example, the depicted displays may bemodified and/or other displays may be provided to display to a user anyor all of the data stored in the limit order database and the alertdatabase described above. The data presented may be filtered by one ormore of customer, time period, and trade-at or trade-through. Other datafields that may be displayed are hypothetical trade-at and hypotheticaltrade-through leaves quantities. The hypothetical trade-at leavesquantity may be defined as the open order quantity (or the open quantityat the start of the day in the case of a previous day order) less therunning total of trade-at print contracts attributed to the order. Thehypothetical trade-through leaves quantity may be defined as the openorder quantity (or the open quantity at the start of the day in the caseof a previous day order) less the running total of trade-through printcontracts attributed to the order.

[0099] In exemplary embodiments described above, monitoring and analysisof option limit order trading has been performed in conjunction withreceiving the orders for execution. However, as an alternative,monitoring and analysis of option limit order trading may be performedby an entity that is not involved with the trading activity, but ratherperforms monitoring and/or analysis based on trading data received fromthe trading entity as well as based on market data.

[0100] The analysis and/or monitoring need not be performed in realtime, but may rather, for example, be performed in a batch mode at sometime after the trading and/or ordering activity has occurred.

[0101] The limit order protection system may operate so as toautomatically disregard potential trade-at or trade-through transactionsthat occur, for example, during anomalous market conditions, on anon-leading exchange, or under other circumstances under which theoperator of the trading system does not undertake to provide limit orderprotection.

[0102] Although the present invention has been described with respect toa preferred embodiment thereof, those skilled in the art will note thatvarious substitutions may be made to those embodiments described hereinwithout departing from the spirit and scope of the present invention.

What is claimed is:
 1. A method comprising: identifying an option limitorder, said option limit order including information identifying acustomer, information identifying a desired option, and information thatindicates a limit price for said option limit order; receiving asubstantially real time feed of option market data; and using the optionmarket data in real time to identify at least one of a trade-throughtransaction relevant to said option limit order and a trade-attransaction relevant to said option limit order.
 2. The method of claim1, further comprising: generating an alert on the basis of saididentified at least one of a trade-through transaction and a trade-attransaction.
 3. The method of claim 2, further comprising: classifyingthe alert as one of active and inactive.
 4. The method of claim 3,wherein the alert is classified as inactive because a correspondingtrade-through transaction or trade-at transaction occurred within apredetermined period after an order time of the option limit order. 5.The method of claim 3, wherein the alert is classified as inactivebecause the option limit order is filled within a predetermined periodafter occurrence of a corresponding trade-through transaction ortrade-at transaction.
 6. The method of claim 3, wherein the alert isclassified as inactive because a corresponding trade-through transactionor trade-at transaction occurred on a non-leading exchange.
 7. Themethod of claim 1, further comprising: using the identified at least oneof a trade-through transaction and a trade-at transaction to tabulate atleast one of trade-through data and trade-at data for a plurality ofoption limit orders placed by the customer; tabulating fulfillment datafor the plurality of option limit orders placed by the customer; andcomparing the tabulated fulfillment data to the tabulated at least oneof trade-through data and trade-at data.
 8. The method of claim 7,wherein the comparing includes dividing the tabulated fulfillment databy the tabulated at least one of trade-through data and trade-at data.9. The method of claim 1, wherein the identifying the option limit orderincludes receiving the option limit order.
 10. The method of claim 1,further comprising: selecting an exchange for execution of the receivedoption limit order.
 11. The method of claim 10, further comprising:forwarding said option limit order to the selected exchange to executesaid option limit order, said forwarding based at least in part on oneof said information identifying said customer and said desired option.12. The method of claim 1, further comprising: receiving exception dataindicative of one or more market conditions at a time of occurrence ofthe identified at least one of a trade-through transaction and atrade-at transaction.
 13. The method of claim 1, wherein saidinformation identifying a desired option further includes: a type ofsaid order, a security underlyer, an option expiration date, and a sizeof said order.
 14. The method of claim 1, further comprising:disregarding the identified at least one of a trade-through transactionand a trade-at transaction in response to a market condition in effectat a time of the transaction.
 15. A method comprising: identifying anoption limit order, said option limit order including informationidentifying a customer, information identifying a desired option, andinformation that indicates a limit price for said option limit order;identifying at least one of a trade-through transaction and a trade-attransaction relevant to said option limit order; and generating an alertsubstantially in real time on the basis of the identified at least oneof a trade-through transaction and a trade-at transaction.
 16. Themethod of claim 15, further comprising: classifying the alert as one ofactive and inactive.
 17. The method of claim 16, wherein the alert isclassified as inactive because a corresponding trade-through transactionor trade-at transaction occurred within a predetermined period after anorder time of the option limit order.
 18. The method of claim 16,wherein the alert is classified as inactive because the option limitorder is filled within a predetermined period after occurrence of acorresponding trade-through transaction or trade-at transaction.
 19. Themethod of claim 16, wherein the alert is classified as inactive becausea corresponding trade-through transaction or trade-at transactionoccurred on a non-leading exchange.
 20. A method comprising: receiving aplurality of option limit orders, each of said option limit ordersincluding information identifying a respective desired option, andinformation that indicates a respective limit price for said optionlimit order; tabulating at least one of trade-through data and trade-atdata for the plurality of option limit orders; tabulating fulfillmentdata for the plurality of option limit orders; and comparing thetabulated fulfillment data to the tabulated at least one oftrade-through data and trade-at data.
 21. The method of claim 20,wherein the comparing includes dividing the tabulated fulfillment databy the tabulated at least one of trade-through data and trade-at data.22. The method of claim 20, wherein the tabulating at least one oftrade-through data and trade-at data includes purging cancelledtransactions.
 23. The method of claim 20, wherein the at least one oftrade-through data and trade-at data corresponds only to transactionsoccurring on a leading exchange.
 24. The method of claim 20, wherein thetabulating at least one of trade-through and trade-at data includescarrying over open option limit orders from a previous trading day. 25.The method of claim 20, wherein the tabulating at least one oftrade-through data and trade at data includes tabulating at least one oftrade-through data and trade-at data that pertains to a single customer.26. The method of claim 20, wherein the tabulating at least one oftrade-through data and trade at data includes tabulating at least one oftrade-through data and trade-at data that pertains to option limitorders routed to a single exchange.
 27. The method of claim 20, whereinthe tabulating at least one of trade-through data and trade-at data andthe tabulating fulfillment data are performed with respect to eachtrading day.
 28. A method comprising: determining a set of option limitorders that are in effect during a trading day, each of said optionlimit orders including information identifying a respective desiredoption, and information that indicates a respective limit price for saidoption limit order; receiving options trading information indicative ofoptions trading activity on a plurality of exchanges during the tradingday; and after closing of the trading day, generating at least one oftrade-through data and trade-at data for the determined set of optionlimit orders based on the received options trading information.
 29. Themethod of claim 28, further comprising: purging cancelled transactiondata from the received trading information before the generating of theat least one of trade-through data and trade-at data.
 30. The method ofclaim 28, wherein the determining the set of option limit ordersincludes carrying over open limit orders from a previous trading day.31. The method of claim 28, wherein all of the options tradinginformation for the trading day is received after closing of the tradingday.
 32. An apparatus for generating quality data associated with anoption limit order, comprising: a processor; and a storage device incommunication with said processor and storing instructions adapted to beexecuted by said processor to identify an option limit order, saidoption limit order including information identifying a customer,information identifying a desired option, and information that indicatesa limit price for said option limit order; receive a substantially realtime feed of option market data; and use the option market data in realtime to identify at least one of a trade-through transaction relevant tosaid option limit order and a trade-at transaction relevant to saidoption limit order.
 33. The apparatus of claim 32, wherein said storagedevice further stores instructions adapted to be executed by saidprocessor to forward said option limit order to a selected one of aplurality of option exchanges to execute said option limit order, saidforwarding based at least in part on one of said information identifyingsaid customer and said desired option.
 34. An apparatus for generatingquality data associated with an option limit order, comprising: aprocessor; and a storage device in communication with said processor andstoring instructions adapted to be executed by said processor toidentify an option limit order, said option limit order includinginformation identifying a customer, information identifying a desiredoption, and information that indicates a limit price for said optionlimit order; identify at least one of a trade-through transaction and atrade-at transaction relevant to said option limit order; and generatean alert substantially in real time on the basis of the identified atleast one of a trade-through transaction and a trade-at transaction. 35.An apparatus for generating quality data associated with a plurality ofoption limit orders, comprising: a processor; and a storage device incommunication with said processor and storing instructions adapted to beexecuted by said processor to receive a plurality of option limitorders, each of said option limit orders including informationidentifying a respective desired option, and information that indicatesa respective limit price for said option limit order; tabulate at leastone of trade-through data and trade-at data for the plurality of optionlimit orders; tabulate fulfillment data for the plurality of optionlimit orders; and compare the tabulated fulfillment data to thetabulated at least one of trade-through data and trade-at data.
 36. Anapparatus for generating quality data associated with a plurality ofoption limit orders, comprising: a processor; and a storage device incommunication with said processor and storing instructions adapted to beexecuted by said processor to determine a set of option limit ordersthat are in effect during a trading day, each of said option limitorders including information identifying a respective desired option,and information that indicates a respective limit price for said optionlimit order; receive options trading information indicative of optionstrading activity on a plurality of exchanges during the trading day; andgenerate, after closing of the trading day, at least one oftrade-through data and trade-at data for the determined set of optionlimit orders based on the received options trading information.
 37. Alimit order protection system, comprising: a communication device forreceiving an option limit order, said option limit order includinginformation identifying a customer, information identifying an option,and information that indicates a limit price for said option limitorder; means for receiving a substantially real time feed of optionmarket data; and means for using the option market data in real time toidentify at least one of a trade-through transaction relevant to saidoption limit order and a trade-at transaction relevant to said optionlimit order.
 38. A limit order protection system, comprising: acommunication device for receiving an option limit order, said optionlimit order including information identifying a customer, informationidentifying an option, and information that indicates a limit price forsaid option limit order; means for identifying at least one of atrade-through transaction and a trade-at transaction relevant to saidoption limit order; and means for generating an alert substantially inreal time on the basis of the identified at least one of a trade-throughtransaction and a trade-at transaction.
 39. A limit order protectionsystem, comprising: a communication device for receiving a plurality ofoption limit orders, each of said option limit orders includinginformation identifying a respective option, and information thatindicates a respective limit price for said option limit order; meansfor tabulating at least one of trade-through data and trade-at data forthe plurality of option limit orders; means for tabulating fulfillmentdata for the plurality of option limit orders; and means for comparingthe tabulated fulfillment data to the tabulated at least one oftrade-through data and trade-at data.
 40. A limit order protectionsystem, comprising: means for determining a set of option limit ordersthat are in effect during a trading day, each of said option limitorders including information identifying a respective desired option,and information that indicates a respective limit price for said optionlimit order; means for receiving options trading information indicativeof options trading activity on a plurality of exchanges during thetrading day; and means for generating, after closing of the trading day,at least one of trade-through data and trade-at data for the determinedset of option limit orders based on the received options tradinginformation.